2017 Conference on Derivatives and Volatility

chicago

9 - 10 November 2017
Chicago Board Options Exchange
400 South LaSalle Street
Chicago, IL 60605

Financial Management Association International (FMA) is pleased to announce the 2017 Conference on Derivatives and Volatility at the Chicago Board Options Exchange in the heart of downtown Chicago, IL.  The conference is smaller and more focused than the FMA’s traditional meetings and will include derivative and volatility focused papers as well as panel sessions on industry trends. In addition to benefiting from the presentations of high-quality research, expert presentations, and a tour of the CBOE, conference participants have the opportunity to enjoy a weekend in windy city  – and explore everything the city has to offer – from entertainment on Navy Pier to historic Grant Park – to name a few attractions the city has to offer.

Registration

Registration Fee: $95.00 for members and nonmembers.

Click to Register

Program

Program Co-Chairs

  • Bryan Kelly, Professor of Finance and Richard N. Rosett Faculty Fellow, Booth School of Business, University of Chicago
  • Russell Rhoads, CFA, Director of Education, Chicago Board Options Exchange

 

 

Thursday, 9 November

1:00 p.m. - 2:00 p.m. Conference Registration and Group Trading Floor Tours
2:00 p.m. - 2:45 pm.  Opening remarks
2:45 p.m. - 3:45 p.m.

Session 1: Credit and Option Risk Premia by Lars Kuehn, David Schreindorfer, and Florian Schulz

Presenter: Lars Kuehn
Discussant: Hui Chen, MIT

3:45 p.m. - 4:00 p.m.  Coffee Break
4:00 p.m. - 5:00 p.m.

Session 2: Variance Risk Premia on Stocks and Bonds by Paul Whelan, Phillippe Mueller, Andrea Vedolin, and Petar Sabtchevsky

Presenter: Paul Whelan
Discussant: Ian Dew-Becker, Northwestern University

5:00 p.m. - 7:00 p.m.  Opening Reception 

 

Friday, 10 November

8:00 a.m. - 8:45 a.m.  Conference Registration and Breakfast
8:45 a.m. - 9:00 a.m.  Opening Remarks
9:00 a.m. - 10:00 a.m. 

Session 3: Recovering the Variance Premium by Steve Heston

Presenter: Steve Heston
Discussant: Jaroslav Borovicka, New York University

10:00 a.m. - 11:00 a.m.

Session 4: Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options by Christian Dorion, Jean-Francois Begin, and Genevieve Gauthier

Presenter: Christian Dorion
Discussant: Bjorn Eraker, University of Wisconsin

11:00 a.m. - 11:15 a.m.  Coffee Break
11:15 a.m. - 12: 00 p.m. CBOE Research Department Presentation
12:00 p.m. - 2:00 p.m. 

Lunch - 12:00 p.m. - 1:00 p.m. 

Keynote Address - 1:00 p.m. - 2:00 p.m. 

Peter Carrcarr
Department Chair of Finance and Risk Engineering
New York University

Dr. Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. He has headed various quant groups in the financial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his Ph.D. from UCLA in 1989. He has over 85 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor's Tech 50, an annual listing of the 50 most influential people in financial technology.

2:00 p.m. - 3:00 p.m. 

Session 5: Nonparametric Option-Implied Volatility by Viktor Todorov

Presenter: Viktor Todorov
Discussant: Dacheng Xiu, University of Chicago

3:00 p.m. - 3:15 p.m.  Coffee Break
3:15 p.m. - 4:15 p.m. 

Session 6: When the Options Market Disagrees by Ruslan Goyenko, Mathieu Fournier, and Gunnar Grass

Presenter: Ruslan Goyenko
Discussant: Travis Johnson, University of Texas

4:15 p.m. - 4:30 p.m.  Best Paper Award/Closing Remarks

 

Hotel & Travel Information

  • For information regarding hotels near the Chicago Board Options Exchange, please click here.
  • For public transportation, directions, parking, and security information, please click here.

Paper Submission Guidelines and Best Paper Awards

Paper Acceptance Guidelines
Acceptance letters for the 2017 Conference on Derivatives and Volatility will be sent (electronically) to each paper’s presenting author in late June 2017. The presenting author will be required to register within one (1) week to confirm his/her attendance. The conference registration fee will be waived for the paper’s presenter.

Best Paper Award
Papers accepted for presentation will be eligible for a $1,000 award.The award winning paper will be determined after the conclusion of the Conference. The best paper will be selected based on the quality of the research and the presentation at the conference.

#FMAatCBOE - Follow the Conversation

During the conference, use the hashtag #FMAatCBOE to follow the conversation on Twitter (@finmgmtassoc) and Facebook (www.facebook.com/FMA.org)

About the Chicago Board Options Exchange

CBOECBOE Holdings, Inc. (NASDAQ: CBOE) is the holding company for Chicago Board Options Exchange (CBOE), the CBOE Futures Exchange (CFE), and other subsidiaries. CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options and volatility trading through product innovation, trading technology and investor education. CBOE Holdings offers equity, index and ETP options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options and futures on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity options, security index options, Weeklys options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P BuyWrite Index (BXM). CBOE Holdings is home to the world-renowned Options Institute, Livevol options analytics and data tools, and www.cboe.com, the go-to place for options and volatility trading resources.